I guess this is because the blog doesn't have access to your Geekzone login cookie, but there is some technical wizardry that could be done to get around it - basically if you qualify to have a GZ blog, you're not supposed to be required to confirm your email, but if you're on a GZ blog with a custom domain it does require it.

It's a security thing. Servers can't issue cookies for other domains, only for its own domain and subdomains. We could implement an account subdomain on Geekzone and each custom blog page would have to redirect to a authentication page on Geekzone, which would then redirect back. This would immediately increase traffic and resource utilisation, plus slow down all browser usage when visiting any blog hosted here.